2012 Registration document and annual financial report - BNP Paribas

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5RISKSAND CAPITAL ADEQUACYSovereign risks531 December 2011 Banking Book (1) Trading BookIn millions of eurosEurozoneCentral GovernmentsCentral GovernmentsSecurities Loans CDS Cash (2) Derivatives (3)C ounterpartyrisk (2)Austria 539 0 0 44 ( 26 ) 0Belgium 17,383 1,826 0 ( 218) ( 369 ) 12Cyprus 22 0 0 31 ( 18 ) 0Estonia 0 0 0 0 20 0Finland 293 0 0 240 ( 364 ) 2France 13,981 161 101 ( 3,375 ) 2,898 216Germany 2,550 0 0 ( 1,230 ) ( 29 ) 273Italy 12,656 552 92 1,063 111 3,242Luxembourg 31 147 0 0 0 0Malta 0 0 0 0 0 0Netherlands 7,423 1,685 0 ( 919 ) 600 11Slovakia 29 0 0 2 ( 157 ) 0Slovenia 41 0 0 230 ( 188 ) 0Spain 457 349 0 58 ( 59 ) 6Programme countriesGreece (*) 1,041 5 0 78 13 167Ireland 274 0 0 ( 10 ) 37 19Portugal 1,407 0 0 ( 15 ) 62 0TOTAL EUROZONE 58,127 4,726 193 ( 4,021 ) 2,531 3,948Other EEA countriesBulgaria 0 0 0 0 0 0Czech Republic 164 0 0 1 ( 5 ) 0Denmark 0 0 0 ( 65 ) ( 40 ) 0Hungary 201 0 0 161 ( 9 ) 0Iceland 0 0 0 0 42 0Latvia 0 0 0 0 16 0Liechtenstein 0 0 0 0 0 0Lithuania 36 0 7 1 8 0Norway 51 0 0 4 7 0Poland 1,650 0 0 33 79 0Romania 0 59 0 13 1 0Sweden 0 0 0 ( 42 ) ( 60 ) 0United Kingdom 679 0 0 ( 664 ) ( 69 ) 10OTHER EEA COUNTRIES 2,781 59 7 ( 558 ) ( 30 ) 10TOTAL EEA 30 60,908 4,784 200 ( 4,579 ) 2,501 3,958United States 4,782 378 0 4,226 (3,893) 9Japa n 6,035 0 0 4,530 (733) 19Others 5,147 3,154 0 4,536 (677) 126TOTAL 76,872 8,316 200 8,713 ( 2,803 ) 4,112(1) Banking book are reported in accounting value before impairment for depreciation, in particular in the case of Greece.(2) The issuer risk on trading book sovereign securities and the counterparty risk on the derivatives concluded with sovereign counterparts are reported inmarket value, representing the maximum loss in the case of an event of default of the sovereign (assuming zero recovery).(3) Net Issuer Risk on Credit Derivative Products (CDS Single Name/TRS) and on Synthetic Treasury exposures through swaps (CMT). Net Issuer Riskcorresponds to the maximum loss which would be incurred in the evemt of default of the sovereign (assuming zero recovery).3022012 Registration document and annual financial report - BNP PARIBAS
RISKS AND CAPITAL ADEQUACYLiquidity and funding risk55.9 Liquidity and fund ing risk [A udited]Liquidity and fund ing risk is the risk of the Group being unable to fulfilcurrent or future foreseen or unforeseen cash or collateral requirementswithout affecting routine transactions or its financial position. This riskmay arise as a result of total or partial lack of liquidity in certain assetsor to the disappearance of certain funding sources. It may be related tothe bank itself (reputation risk) or to external factors (crisis in certainmarkets).Liquidity and fund ing risk is managed through a global liquidity policyapproved by Group Executive Management. This policy is based onmanagement principles designed to apply both in normal conditionsand in a liquidity crisis. The Group’s liquidity position is assessed on thebasis of internal standards, warning flags and regulatory ratios.LIQUIDITY RISK MANAGEMENT POLICYPOLICY OBJECTIVESThe objectives of the Group’s liquidity management policy are to (i) securea balanced financing mix for the Group’s activities; (ii) ensure that theGroup is always in a position to deliver its obligations to its customers; (iii)ensure that it does not trigger a systemic crisis solely by its own actions;(iv) comply with the standards set by the local banking supervisor; (v)cope with any liquidity crises; and (vi) control its cost of fund ing .ROLES AND RESPONSIBILITIES INLIQUIDITY RISK MANAGEMENTThe Internal Control, Risk and Compliance Committee reports quarterlyto the Board of Directors on liquidity policy principles and the Group’sposition.The Group’s Executive Committee sets the general liquidity riskmanagement policy, including risk measurement principles, acceptablerisk levels and internal liquidity pric ing rules. Responsibility for monitoringand implementation has been delegated to the Group ALM Committee.Dashboard reports are sent to the Group’s Executive Committee monthly,weekly or daily depending on the market environment .Group ALM Committee authorises implementation of the liquidity policyproposed by ALM Treasury, which relies on the principles set by theExecutive Committee. The Executive Committee is notably informed ona regular basis of liquidity risk indicators, stress tests, and the executionof funding program. It is also informed of any crisis situation, and isresponsible for deciding on the allocation of crisis management rolesand approving emergency plans.After validation by Group ALM Committee, ALM-Treasury is responsiblefor implementing the policy throughout the Group. The business line andentity ALM Committees implement at local level the strategy approvedby Group ALM Committee.Group Risk Management (GRM) contributes to defining liquidity policyprinciples. It also provides second-line control by validating the models,risk indicators (including liquidity stress tests), limits and marketparameters used. GRM takes part in the Group ALM Committee and thelocal ALM Committees.CENTRALISED LIQUIDITY RISKMANAGEMENTALM-Treasury is responsible for managing liquidity for the entire Groupacross all maturities. In particular, it is responsible for fund ing andshort-term issuance (certificates of deposit, commercial paper, etc.),for senior and subordinated debt issuance (MTNs, bonds, medium/long-term deposits, covered bonds, etc.), preferred share issuance , andloan securitisation programmes for the retail banking business andCIB’s financing activities. ALM-Treasury is tasked with providing internalfinancing to the Group’s core businesses, operational entities and businesslines, and investing their surplus cash. It is also responsible for buildingup and managing liquidity reserves, which comprise assets that can beeasily liquidated in the event of a liquidity squeeze.52012 Registration document and annual financial report - BNP PARIBAS 303
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2012REGISTRATION DOCUMENTAND ANNUAL
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2012 Registration documentand annua
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1GROUP PRESENTATION1.1 Group presen
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GROUP PRESENTATIONPresentation of a
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1GROUPPRESENTATIONBNP Paribas and i
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1GROUPPRESENTATION1282012 Registrat
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2CORPORATEGOVERNANCEBoard of Direct
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2CORPORATEGOVERNANCEReport of the C
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2CORPORATEGOVERNANCEExecutive Commi
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32012REVIEW OF OPERATIONSBNP Pariba
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32012REVIEW OF OPERATIONSCore busin
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32012REVIEW OF OPERATIONSBalance sh
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSProfit and
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32012REVIEW OF OPERATIONSOutlook3.6
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32012REVIEW OF OPERATIONSLiquidity
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4CONSOLIDATEDFINANCIAL STATEMENTS -
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5RISKSAND CAPITAL ADEQUACY5.6 Count
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5RISKSAND CAPITAL ADEQUACYAnnual ri
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5RISKSAND CAPITAL ADEQUACYCapital m
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5RISKSAND CAPITAL ADEQUACYRisk mana
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5RISKSAND CAPITAL ADEQUACYCredit ri
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Page 306 and 307: 5RISKSAND CAPITAL ADEQUACYLiquidity
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Page 324 and 325: 5RISKSAND CAPITAL ADEQUACYAppendice
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Page 336 and 337: 6INFORMATIONON THE PARENT COMPANY F
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6INFORMATIONON THE PARENT COMPANY F
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7ARESPONSIBLE BANK: INFORMATION ON
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8GENERALINFORMATIONDocuments on dis
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8GENERALINFORMATIONFounding documen
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8GENERALINFORMATIONStatutory Audito
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8GENERALINFORMATIONStatutory Audito
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9STATUTORYAUDITORSStatutory Auditor
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10PERSON RESPONSIBLE FOR THE REGIST
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11TABLE OF CONCORDANCEHeadings as l
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HEAD OFFICE16, boulevard des Italie
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